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CCFA Risk Study Group Review – Session 2: Liquidity Risk Management

05 Mar 2015 11:23 PM | Yadong Wang (Administrator)

After the CCFA Risk Study Group – Session 1: General Discussion on Counter-party Credit Risk on December 9th, 2014, CCFA Risk Study Group extended to cover liquidity risk management on the second session, which was held on February 19th, 2015. The CCFA Risk Study Group session 2 consists of speakers, Wei Zhang and Gavin Jiang, both from Scotiabank model validation group, and some practitioners with years of experiences on risk management from other financial institutions, along with members of the study group.

Liquidity Risk is the risk that a bank is not able to fulfill all contractually required financial obligations. Liquidity risk has played a key role in historical banking crisis. The financial crisis began in 2007 exposed that many banks fail to build up an adequate framework to satisfactorily account for the liquidity risk posed by individual products and business lines.

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In order to supervise financial institutions with their liquidity risk management, a few regulatory requirements have been implemented or proposed by the Basel Committee. In this study group session, we mainly focused on LCR (Liquidity Coverage Ratio) and NSFR (Net Stable Funding Ratio) in Basel III as well as some other terms in local financial regulators. In specific, we first went through the detailed terms of both LCR and NSFR, e.g., the characteristics, classification, and calculation of high-quality liquid assets; business judgmental issues in LCR and NSFR; then different supplements used by local regulators such as OSFI and FSA were introduced. At the end, we also discussed about the ideal liquidity risk management in banks, which not only requires a sound framework from the supervisory level but also support from each business unit.

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The CCFA risk study group aims to provide a platform for members to share the knowledge and learn from each other, eventually to achieve the success in risk management.

马蹄腾瑞雪,羊角触红梅。在这新年开泰之际,CCFA Risk Study Group也迎来了它2015年的第一次group meeting。在上一次的研讨会(2014年12月9日)中,我们针对了对手方信用风险进行了广泛的讨论。而在这一次的学习研讨中,我们有幸邀请到了加拿大丰业银行Model Validation部门的Wei Zhang和Gavin Jiang来为我们分享他们在流动性风险管理方面的经验。同时,本次学习小组亦有多名在各种风险管理领域的精英参加,分享及讨论了他们对流动性风险管理的看法。

作为商业银行经营与管理过程中最基本的风险种类之一,流动性风险是指商业银行无法及时获得或者无法以合理成本获得充足资金,以偿付到期债务或者其他支付义务、满足资产增长或其他业务发展需要的风险。

2008年的次贷危机及之后引发的全球流动性危机进一步暴露了全球银行流动性风险管理及监管制度中的弊端。巴塞尔委员会在这次金融灾难后,立刻指出了大多商业银行在流动性风险管理框架中的不足,并在巴塞尔协议III中添加了流动性风险管理的指标。在这次的学习小组会议中,我们着重讨论了在巴塞尔协议III(Basel III)中新增的两种流动性风险指标:流动性覆盖率(Liquidity Coverage Ratio,LCR),净稳定资金比例(Net Stable Funding Ratio,NSFR):二种流动性风险指标的定义,衡量,以及衡量过程中可能遇见的难题及挑战。同时,我们介绍了当地金融监管机构中对流动性风险管理的补充条款。最后,各位学习小组成员亦针对如何从公司内部管理层以及各业务单元的不同方向中促进建立一个健全的流动性风险管理系统展开了讨论。


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